|
|||||
|
|
Estimating the innovation distribution in nonparametric autoregression |
|
| Authors: | Ursula U. Müller Anton Schick Wolfgang Wefelmeyer |
| Affiliation: | 1. Department of Statistics, Texas A&M University, College Station, TX, 77843-3143, USA 2. Department of Mathematical Sciences, Binghamton University, Binghamton, NY, 13902-6000, USA 3. Mathematical Institute, University of Cologne, Weyertal 86-90, 50931, Cologne, Germany |
| Abstract: | We prove a Bahadur representation for a residual-based estimator of the innovation distribution function in a nonparametric autoregressive model. The residuals are based on a local linear smoother for the autoregression function. Our result implies a functional central limit theorem for the residual-based estimator. |
| Keywords: | |
| 本文献已被 SpringerLink 等数据库收录！ | |